We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk … factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

Firm cyclicality decreases by around 40% after the inception of credit default swap (CDS) trading. The effect is due to …

theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical … determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for …. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory …

This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia …. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the start of the … "credit crunch." Second, the daily risk premia co-move with US macro news and corporate default risk. Third, global factors …

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection … sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity's risk-neutral default … intensity. This paper defines and estimates a measure of the spread risk premium component in CDS spreads of a sample of …